net.objectlab.kit.datecalc.common

Enum PeriodCountBasis

java.lang.Object

java.lang.Enum<PeriodCountBasis>

net.objectlab.kit.datecalc.common.PeriodCountBasis

All Implemented Interfaces:

Serializable, Comparable<PeriodCountBasis>

public enum PeriodCountBasis
extends Enum<PeriodCountBasis>

Defines some standard Day Count bases. To read about the most common Day Count Conventions, you can refer to the following document or here.

Author:

Benoit Xhenseval

Enum Constant Summary

Enum Constants

Enum Constant and Description
ACT_360 Actual/360, known in the United States as money market basis, has a day count fraction equal to the number of days between the payment dates, divided by 360.
ACT_365 Actual/365(Fixed), known as bond basis in the United States, means that the day count fraction is equal to the number of days between the last payment date and the next date divided by 365.
ACT_ACT Actual/Actual, means that the numerator is the number of days between the two dates.
CONV_30_360 30/360, means that day count fractions are calculated assuming 30 day months and 360 days in a year.
CONV_360E_ISDA 30E/360, means that day count fractions are calculated assuming 30 day months and 360 days in a year.
CONV_360E_ISMA 30E+/360, means that day count fractions are calculated assuming 30 day months and 360 days in a year.

Method Summary

Modifier and Type	Method and Description
static PeriodCountBasis	valueOf(String name) Returns the enum constant of this type with the specified name.
static PeriodCountBasis[]	values() Returns an array containing the constants of this enum type, in the order they are declared.

Methods inherited from class java.lang.Enum

clone, compareTo, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class java.lang.Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Detail

CONV_30_360

public static final PeriodCountBasis CONV_30_360

30/360, means that day count fractions are calculated assuming 30 day months and 360 days in a year. The second date is only adjusted if the first date is on the 31st of a month.

CONV_360E_ISDA

public static final PeriodCountBasis CONV_360E_ISDA

30E/360, means that day count fractions are calculated assuming 30 day months and 360 days in a year. In this case, the second date is always adjusted to the 30th, if it is the 31st.

CONV_360E_ISMA

public static final PeriodCountBasis CONV_360E_ISMA

30E+/360, means that day count fractions are calculated assuming 30 day months and 360 days in a year. If the second date is on the 31st, it is adjusted to the 30th and a second month is incremented by one.

ACT_ACT

public static final PeriodCountBasis ACT_ACT

Actual/Actual, means that the numerator is the number of days between the two dates. The denominator is the actual number of days in the coupon period multiplied by the coupon frequency. This is mainly relates to bonds. This normally results in day count factors of 1.0 for annual coupons, 0.5 for semi annual coupons and 0.25 for quarterly coupons.

ACT_360

public static final PeriodCountBasis ACT_360

Actual/360, known in the United States as money market basis, has a day count fraction equal to the number of days between the payment dates, divided by 360.

ACT_365

public static final PeriodCountBasis ACT_365

Actual/365(Fixed), known as bond basis in the United States, means that the day count fraction is equal to the number of days between the last payment date and the next date divided by 365.

Method Detail

values

public static PeriodCountBasis[] values()

Returns an array containing the constants of this enum type, in the order they are declared. This method may be used to iterate over the constants as follows:

for (PeriodCountBasis c : PeriodCountBasis.values())
    System.out.println(c);

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static PeriodCountBasis valueOf(String name)

Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null